Strategies / Mean reversion / IBS Mean Reversion

IBS Mean Reversion on Stocks

Internal bar strength shows where the close sits inside the day's range. This system buys when IBS is below 0.7, the close is lower than the previous close, and the prior low undercut the one before it. It sells when IBS climbs above 0.9.

Mean reversionLong onlySwingMastercardDaily

2.65Profit factor

55,597Net profit USD

69.47%Win rate

380Trades

-5,014Max drawdown

146Avg trade

Best run of 31. Mastercard, Daily, from run stock2-queue:2026-09-15-Mastercard.tsv:8.

Entry rules, long

Members only
Close is below the previous close
The previous low is below the low before it
No long position is open

Exit rules

Members only
No stop loss or target

Test conditions

Period	Up to 2026-09-15
Instrument	Mastercard, Daily
Capital per trade	10,000
Costs	Not recorded for this run.
Bars	Daily bars, full available history
Last tested	2026-09-15

Parameters

capitalPerTrade Money committed to each trade	10000
minRange Floor on the bar range to avoid dividing by zero	0.00001
entryIbsLevel Buy when IBS is below this	0.7
exitIbsLevel Sell when IBS is above this	0.9

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
MastercardBest run	Daily	2.65	380	69.47	55,597 USD	-5,014
Visa	Daily	2.51	338	67.75	38,486 USD	-3,303
Microsoft	Daily	2.45	694	68.44	96,673 USD	-4,771
Broadcom	Daily	2.27	321	65.73	45,193 USD	-3,454
Cisco	Daily	2.26	631	65.45	109,868 USD	-9,961
ExxonMobil	Daily	2.07	899	62.85	73,449 USD	-6,444
Alphabet	Daily	2.00	228	67.54	24,127 USD	-3,127
Applied Materials	Daily	1.88	542	67.16	81,940 USD	-5,612
Palantir	Daily	1.88	104	62.50	26,481 USD	-7,075
Intel	Daily	1.81	791	62.45	90,133 USD	-6,875
Johnson & Johnson	Daily	1.81	896	60.94	59,038 USD	-3,478
Oracle	Daily	1.79	710	63.38	99,304 USD	-12,794
Chevron	Daily	1.78	564	64.01	46,392 USD	-6,534
Meta	Daily	1.76	255	65.10	30,490 USD	-6,529
Lam Research	Daily	1.74	659	61.00	106,401 USD	-10,650
Tesla	Daily	1.74	296	63.51	50,543 USD	-13,146
Coca-Cola	Daily	1.73	1,048	56.77	65,632 USD	-6,816
Nvidia	Daily	1.71	493	57.00	81,253 USD	-10,619
Costco	Daily	1.71	655	64.43	53,145 USD	-6,378
Apple	Daily	1.68	633	55.13	77,286 USD	-8,749
AbbVie	Daily	1.67	228	62.28	18,923 USD	-3,850
Eli Lilly	Daily	1.59	1,015	59.41	65,428 USD	-8,172
Bank of America	Daily	1.54	532	65.98	51,185 USD	-13,735
Amazon	Daily	1.52	551	61.52	55,208 USD	-16,419
Berkshire Hathaway	Daily	1.49	579	64.77	23,761 USD	-4,961
Micron	Daily	1.36	712	61.10	79,910 USD	-24,132
AMD	Daily	1.28	817	59.49	69,026 USD	-15,748
S&P 500	Daily	1.20	1,088	62.87	15,348 EUR	-9,911
JPMorgan	Daily	0.82	406	51.97	-10,417 USD	-11,866
Caterpillar	Daily	0.67	235	48.09	-10,032 USD	-10,930
Walmart	Daily	0.00	20	0.00	-10,099 USD	-17,189

Charts

Results by run

Profit factor by run

Above 1.0 made money, below 1.0 lost money.

Net profit against max drawdown

Net profitMax drawdown

The code

ProBuilder, rewritten to house standard

Every file in the library uses the same header, the same section order and the same variable names. The numbers above were produced by the original version before the rewrite, and the rewrite has not yet been compiled in ProRealTime.

// ============================================================
// IBS Mean Reversion
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long only
// Timeframe tested: Daily
// ============================================================

// --- Settings ---
DEFPARAM CumulateOrders = false

// --- Parameters ---
capitalPerTrade = 10000   // money committed to each trade
minRange = 0.00001        // floor on the bar range to avoid dividing by zero
entryIbsLevel = 0.7       // buy when IBS is below this
exitIbsLevel = 0.9        // sell when IBS is above this

// --- Indicators ---
positionSize = capitalPerTrade / close
barRange = MAX(high - low, minRange)
ibsValue = (close - low) / barRange

15 more lines: the entry and exit rules.

Read this first

Known weaknesses

There is no stop loss, so a stock that keeps falling is held until a strong close appears.
Three of the thirty markets lost money: JPMorgan, Caterpillar and Walmart. Walmart had 20 trades and none of them won.
The S&P 500 run was far weaker than the best stocks, with a profit factor of 1.2 over 1,088 trades.

Indicators used

IBS

How to load it

Copy the code with the copy button above the code block.
In ProRealTime, open a chart of the instrument and timeframe you want to test, then open ProOrder > New trading system and choose "Create with programming".
Paste the code, give the system a name and save it.
Click "Backtest", set your own spread and position size, and run it before you consider trading it live.

Questions

About this strategy

Can IBS Mean Reversion run in ProOrder?

Yes, it only needs daily closes and ranges. The rewritten code was not compile-checked, so backtest before trading it live.

How did it do across the stocks?

Mastercard led with USD 55,596.58 net over 380 trades and a 69.47% win rate. Microsoft, Cisco and Visa also did well, while JPMorgan, Caterpillar and Walmart lost.

How is each trade sized?

Each position is 10,000 divided by the close, about 10,000 of stock. The Mastercard run had a max drawdown of USD 5,014.18.

Why daily bars?

IBS is built from the daily high, low and close, and each stock was tested on its full daily history.

Turnaround Tuesday

Uses the same indicator.

3.80 PF · 39 trades

Three Down Days

A similar profit factor.

2.77 PF · 63 trades

Monday Dip Buy

Also a mean reversion strategy.

n/a PF · 146 trades

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Past backtest results do not guarantee future results. This is not financial advice. Curated and maintained by ProRealAlgos. ProRealTime™ is a trademark of ProRealTime SAS. prorealalgos.com Stats Docs